相关论文: On Detecting Spoofing Strategies in High Frequency…
With online payment platforms being ubiquitous and important, fraud transaction detection has become the key for such platforms, to ensure user account safety and platform security. In this work, we present a novel method for detecting…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
In this paper, we explore statistical versus computational trade-off to address a basic question in the application of a distributed algorithm: what is the minimal computational cost in obtaining statistical optimality? In smoothing spline…
A major limitation to advances in fingerprint spoof detection is the lack of publicly available, large-scale fingerprint spoof datasets, a problem which has been compounded by increased concerns surrounding privacy and security of biometric…
This paper presents a framework of imitating the principal investor's behavior for optimal pricing and hedging options. We construct a non-deterministic Markov decision process for modeling stock price change driven by the principal…
We study a an optimal high frequency trading problem within a market microstructure model designed to be a good compromise between accuracy and tractability. The stock price is driven by a Markov Renewal Process (MRP), while market orders…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
We present a simple one-parameter model for spatially localised evolving agents competing for spatially localised resources. The model considers selling agents able to evolve their pricing strategy in competition for a fixed market. Despite…
This paper investigates whether large-scale GNSS spoofing activity can be inferred from maritime Automatic Identification System (AIS) position reports. A data-processing framework, called SeaSpoofFinder, available here:…
One-max search is a classic problem in online decision-making, in which a trader acts on a sequence of revealed prices and accepts one of them irrevocably to maximise its profit. The problem has been studied both in probabilistic and in…
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…
Money laundering is the crucial mechanism utilized by criminals to inject proceeds of crime to the financial system. The primary responsibility of the detection of suspicious activity related to money laundering is with the financial…
Motivated by applications in online marketplaces such as ride-hailing, we study how strategic servers impact the system performance. We consider a discrete-time process in which, heterogeneous types of customers and servers arrive. Each…
This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…
Objectives: To combat money laundering, banks raise and review alerts on transactions that exceed confidential thresholds. However, the thresholds may be leaked to criminals, allowing them to break up large transactions into amounts under…
Network operators are generally aware of common attack vectors that they defend against. For most networks the vast majority of traffic is legitimate. However new attack vectors are continually designed and attempted by bad actors which…
Tampering of metering infrastructure of an electrical distribution system can significantly cause customers' billing discrepancy. The large-scale deployment of smart meters may potentially be tampered by malware by propagating their agents…
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic…